A-Share Screen Using Turnover and Shanghai Stock Codes
Summary
This proposed A-share screen selects stocks whose turnover rate is between three and twelve percent, whose codes begin with 60, and whose previous-day turnover exceeds eight percent. The code example retrieves daily basic data, applies these filters, then sorts qualifying names by market value. The document frames turnover as a measure of trading activity and market sentiment, while the code prefix narrows the universe.
No backtest, returns, or comparison with a benchmark is provided. The author cautions that a single day’s turnover may not represent recent market activity and that the screen leaves out fundamentals and other relevant indicators. The implementation also has a potential field mismatch: it retrieves a turnover field with a different name from the one used for one of the thresholds, so the example may require adjustment before use. The screen should be treated as a preliminary stock filter, not a demonstrated strategy.
Key ideas
- The screen uses turnover between three and twelve percent and a previous-day turnover above eight percent.
- It restricts candidates to stocks with codes beginning with 60.
- The example ranks qualifying stocks by market value but presents no performance results.
- Single-day turnover can be an incomplete measure of activity, and the code’s turnover fields may need correction.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.